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yuvaltaylor
Factor and data series importing

We are introducing two new tools for all P123 users. They should be available later today.

Under the Research menu you’ll see a new category: Series & Factors.

The old “Custom Series” tool is now under this menu, relabeled “Aggregate (Custom) Series.”

The new tools are Data Series and Stock Factors.

A data series is a list of dates and values; a stock factor is a list of dates, tickers, and values. You can import them as CSV files. Here’s how you can use them.

The data series function just like custom series. Once you save a data series, you can chart it and then use the values with GetSeries. GetSeries is used in the series parameter for a number of commands, including Close, SMA, EMA, etc.

So, for example, let’s say you upload the FRED data for the US leading index. And let’s say you only want to invest when the index is 0.5% or higher. So you copy the USSLIND data from FRED, open the data series tool, upload the CSV file, give it a name (say “USSLIND”), and then in your buy rule, or a screener rule, you can specify Close(0,GetSeries(“USSLIND”)) > 0.5.

The stock factor tool allows you to import outside data about tickers (both stock and ETF). You can use this, for example, to import an ETF’s historical holdings, the executive compensation of companies, or alternative data sources for adjusted EBITDA if you can get it. You can upload the historical Zacks ranks of companies (if you can get that) to see how well they’d backtest. If you can get satellite images of parking lots, you can upload the number of shoppers visiting public retail companies.

The tool works just like a custom formula, except that it has two dollar signs in front of the name instead of one. So you can use stock factors in screens, ranking systems, and simulations—everywhere you can use a custom formula. If a ticker changes, you don’t have to reload the file: all the data is stored based on the ticker ID.

Have fun with these new tools, and let us know what you think.

Yuval Taylor
Product Manager, Portfolio123
invest(igations)
Any opinions or recommendations in this message are not opinions or recommendations of Portfolio123 Securities LLC.

Dec 30, 2019 3:05:02 PM       
geov
Re: Factor and data series importing

The stock factor tool allows you to import outside data about tickers (both stock and ETF). You can use this, for example, to import an ETF’s historical holdings, .....

I have historic holdings of ETF USMV for longer than 5 years, taken every 3 months. How do I get this into a Stock Factor database, and how can this be used to run a simulation?

USMV holds over 200 positions. I have about 24 "inlists" of them, but not historic prices.

Dec 30, 2019 6:14:06 PM       
wwasilev
Re: Factor and data series importing

Is date order important or does that get sorted out in the backend? The following use Monday dates, will they be presented to the simulator as Monday morning data (i.e. prior to market open)?

2019-09-09,IBM,NA
2019-09-09,AAPL,NA
2019-09-09,CSCO,NA
2019-09-16,CSCO,NA
2019-09-16,OXY,NA

EDIT: it looks like the systems sort submitted data. The above was d/l back as;
2019-09-16,CSCO,N/A
2019-09-16,OXY,N/A
2019-09-09,AAPL,N/A
2019-09-09,CSCO,N/A
2019-09-09,IBM,N/A

Dec 30, 2019 6:18:17 PM       
Edit 3 times, last edit by wwasilev at Dec 30, 2019 6:50:14 PM
wwasilev
Re: Factor and data series importing

Once I have a stock-factor list, how do I construct a Universe? My imagination is failing me.

Dec 30, 2019 6:51:54 PM       
ETFOptimize
Re: Factor and data series importing

FANTASTIC - I've been waiting for this feature!!!!

Thank you!

Chris

Dec 30, 2019 7:42:35 PM       
Edit 1 times, last edit by ETFOptimize at Dec 30, 2019 11:03:48 PM
wwasilev
Re: Factor and data series importing

Stock factors data down-loads with "N/A" which, when up-loaded again, causes an error report.

Dec 30, 2019 8:02:00 PM       
yuvaltaylor
Re: Factor and data series importing

The stock factor tool allows you to import outside data about tickers (both stock and ETF). You can use this, for example, to import an ETF’s historical holdings, .....

I have historic holdings of ETF USMV for longer than 5 years, taken every 3 months. How do I get this into a Stock Factor database, and how can this be used to run a simulation?

USMV holds over 200 positions. I have about 24 "inlists" of them, but not historic prices.


Create a CSV file with the date, the ticker, and the value "1"

Upload that as a stock factor. Call it $$USMV.

You can now use $$USMV in a screener. $$USMV = 1 will get you only stocks that were held in USMV on a particular date.

Yuval Taylor
Product Manager, Portfolio123
invest(igations)
Any opinions or recommendations in this message are not opinions or recommendations of Portfolio123 Securities LLC.

Dec 30, 2019 8:26:19 PM       
yuvaltaylor
Re: Factor and data series importing

Stock factors data down-loads with "N/A" which, when up-loaded again, causes an error report.


Sorry about that. You have to take the slash out of the N/A before you upload.

If you see any other bugs like this, please point them out.

Yuval Taylor
Product Manager, Portfolio123
invest(igations)
Any opinions or recommendations in this message are not opinions or recommendations of Portfolio123 Securities LLC.

Dec 30, 2019 8:28:56 PM       
wwasilev
Re: Factor and data series importing

Are all the up-loads additive? For example;

load 1;
2019-09-09,IBM,1
2019-09-09,AAPL,1
2019-09-09,CSCO,1
2019-09-16,CSCO,1
2019-09-16,OXY,1

oops, made a mistake on OXY.
load 2:
2019-09-09,IBM,1
2019-09-09,AAPL,1
2019-09-09,CSCO,1
2019-09-16,CSCO,1

OXY is still a stock factor.

So the method for deleting a bad entry is to delete the series and up-load a clean one? Is that right?

Dec 30, 2019 8:56:34 PM       
Edit 6 times, last edit by wwasilev at Dec 30, 2019 9:13:12 PM
wwasilev
Re: Factor and data series importing

Activating a stock looks like;
2019-09-09,IBM,1

Deactivating a stock looks like;
2019-09-16,IBM,0

Is that right?

I tried deactivating a stock with today's date and it's still listed in a Screener run. So the change is not recognized. Is that expected? Does that mean we need to update our ETF lists with Sunday's date?

Dec 30, 2019 9:11:07 PM       
Edit 1 times, last edit by wwasilev at Dec 30, 2019 9:46:28 PM
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